Try copying it where it actually should go -- your Applications folder.

If that doesn't work, try checking the disc for nicks or scratches. Give it a wipe with a lint-free (preferably microfibre) cloth -- NOT in a circle like you would with records, but in a straight line from the inner ring outwards, then try again.

If that fails, contact the manufacturer for a replacement disk.

Got it. I am copying it into the Application folder right now.

Fingers crossed!

What is the difference between copying it into the Application folder as oppose to copying it onto the desktop?